Option Pricing, Hedging and Arbitrage: Artificial Intelligent Applications
博士 === 國立交通大學 === 資訊管理所 === 92 === Neural networks have the ability of learning and performing high-speed calculations. Also with its parallel processing and tolerance of faults, its prediction ability has become quite outstanding. Although most literature is available on options pricing via neutral...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/45583225664852933194 |
| Summary: | 博士 === 國立交通大學 === 資訊管理所 === 92 === Neural networks have the ability of learning and performing high-speed calculations. Also with its parallel processing and tolerance of faults, its prediction ability has become quite outstanding. Although most literature is available on options pricing via neutral networks, little attention has been paid to hedging. This study applies the neural networks to the pricing and hedging of specific warrants. The empirical results indicate that the method based on neural networks excels the BS model in interpretive capability, error degrees and hedging efficiency. It means that in the Taiwanese warrant market, neural networks with self-evolving genetic algorithms can provide a more accurate and stabler model on pricing and hedging than the BS model.
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